Another important feature of Prime is ability to generate source code for the approximation model (both in Python/Java). You can get that code and embed it directly into your program, freeing you from any dependencies on the DataRobot platform and network.
CodeGen only generates Java archives, so can't be used in your Python programs directly
Codegen is a feature available for some models that will generate a Java binary of the model that you can deploy. Typically it's used for low latency situations where you need to embed the model directly into your web app or other tech stack to avoid network bandwidth.
DataRobot Prime generates a linear approximation of the model.